1
Juil
1 juillet 2016
in Chercheurs
On going research
- Q. Jacquet, W. Van Ackooij, C. Alasseur, S. Gaubert, Ergodic control of a heterogeneous population and application to electricity pricing.
- Q. Jacquet, W. Van Ackooij, C. Alasseur, S. Gaubert, A quadratic regularization for the multi-attribute unit-demand envy-free pricing problem.
- C. Remlinger, C. Alasseur, M. Brière, J. Mikael, Expert Aggregation for Financial Forecasting.
- A. Seguret, C. Wan, C. Alasseur, Computation and implementation of an optimal mean field control for smart charging.
- C. Alasseur, L. Campi, R. Dumitrescu, J. Zeng, MFG model with a long-lived penalty at random jump times: application to demand side management for electricity contracts.
- A. Séguret, C. Alasseur, J.F. Bonnans, A. Di Paola, N. Oudjane, V. Troato, Decomposition of high dimensional aggregative stochastic ontrol problems
- C. Alasseur, E. Gobet, I. Pimentel, X. Warin, Power plant valuation under asymmetric risk criterion taking into acount maintenance costs
Publications
- C. Alasseur, C. Chaton, C., & E. Hubert, (2022). Optimal contracts under adverse selection for staple goods such as energy: Effectiveness of in-kind insurance. Energy Economics, 105785.
- C. Alasseur, H. Farhat, & M. Saguan (2020). A principal–agent approach to capacity remuneration mechanisms. International Journal of Theoretical and Applied Finance (IJTAF), 23(08), 1-64.
- M. Hang, J. Geyer-Klingeberg, A.W. Rathgeber, C. Alasseur, & L. Wichmann, (2021). Interaction effects of corporate hedging activities for a multi-risk exposure: evidence from a quasi-natural experiment. Review of Quantitative Finance and Accounting, 56(2), 789-818.C.
- C. Alasseur, I. Ekeland, R. Elie, Nicolás Hernández Santibáñez and D. Possamai, Selection adverse and application to electricity tarification, SIAM Journal on Control and Optimization, 58(2), 686-713, 2020.
- C. Alasseur, I. Ben Tahar and A. Matoussi, An extended Mean Field Game for Storages in Smart Grids, Journal of Optimisation Theory and Applications (2020) 184: 644.
- Hélène Le Cadre, Paulin Jacquot, Cheng Wan, Clémence Alasseur, Peer-to-Peer Electricity Market Analysis: From Variational to Generalized Nash Equilibrium, European Journal of Operational Research (EJOR), Volume 282, Issue 2, 16 April 2020, Pages 753-771.
- C. Alasseur, A. Balata, S. Ben Aziza, A. Maheshwari, P. Tankov, X. Warin, "Regression Monte Carlo for microgrid management", ESAIM: PROCEEDINGS AND SURVEYS, February 2019, Vol. 65, p. 46-67
- C. Alasseur, O. Féron, Structural price model for coupled electricity markets, Energy Economics, Volume 75, pp 104-119, 2018.
- Alasseur, C., Scalise, S., Husson, L., & Ernst, H. (2008). A novel approach to model the land mobile satellite channel through reversible jump Markov chain Monte Carlo technique. IEEE transactions on wireless communications, 7(2), 532-542.
- Alasseur, C., Núñez, A., Fontán, F. P., Husson, L., Fiebig, U. C., & Mariño, P. (2005). Two approaches for effective modelling of rain-rate time-series for radiocommunication system simulations. Space communications, 20(1-2), 69-83.
Communications
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Conférence CIRED, Optimal distribution network tariffs computation with a bi-level optimisation approach, (joint work with K. Syrtseva, M. Bordigoni, L. Gilotte, R. Zorgati), September 2021.
- Conférence AMAMEF, plenary session, June 2021.
- Séminaire CMAP - Ecole Polytechnique, February 2021.
- EMP-E, fourth conference of the Energy Modelling Platform for Europe, Modelling the French power system during COVID-19: Cascading effects from stay-at-home regulations, October 2020.
- International Congress on Industrial and Applied Mathematics, Valencia July 15-
19, 2019, Spain. - Mean Field Games workshop - ICMS - April 2019, Edimburg
- The mathematics of energy systems program - INI - January 2019, Cambridge
- Journées projet ANR "Mean Field Games", 17-18 déc. 2018 Paris (France).
- 11th European Summer School in Financial Mathematics, Paris, August 2018
- 35th Annual Conference of the French Finance Association (AFFI), 22.-24. May 2018, Paris, France
- An extended Mean Field Game for Storages in Smart Grid, Mean-field games, energy and environment Workshop, London, February 2018
- An extended Mean Field Game for Smart Grid, , Energy Finance Christmas Workshop (EFC17), Cracow, December 2017
- Mean Field Game and local storages in the power system, International Conference on Stochastic Analysis and Application, Stochastic Control, Information and Applications, Hammamet, October 2017
- Mean Field Game and local storages in the power system, Energy and Commodity conference, Oxford, June 2017
- Séminaire, Collège de France, Mai 2017
- PDE and Probability Methods for Interactions, Sophia Antipolis (France) – March 30-31, 2017
- An adverse selection approach to power tarification, Energy Finance Christmas Workshop, Essen, December 2016
- An adverse selection approach to power tarification, SIAM Conference on Financial Mathematics & Engineering Austin, Nov 2016, Paris, November 2016
- 5ème Journée COSMOS, Problèmes et techniques de l'optimisation et tarification stochastique, Paris, November 2016
- A structural model for interconnected markets, SESO the International Thematic Week Smart Energy and Stochastic Optimization, May 2016
- A structural model for interconnected markets, EPFL Brown bag seminar, May 2016, Invited.
- A structural model for interconnected markets, Frontiers in Stochastic Modelling for Finance Conference, Padua, February 2016
- Electricity price models comparison for spread options, Energy Finance Conference, London, September 2015
- Review of types of electricity price models used in practice by a power utility, 12th Workshop on Stochastic Models, Statistics and Their Applications Finance Conference, Wroclaw, February 2015
- A structural model for electricity spot and forward for coupled market, Energy FinanceConference, Erice, September 2014
Others
Member of the scientific executive bureau, LABEX Finance and Sustainable Development,
ILB fellows
Energy Derivatives lecture in master 203 (Dauphine University)
Membre du comité de liaison du groupe MODE (SMAI)